Modeling the Nord Pool system price : a quantile regression approach
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This thesis contributes to the area of research on electricity price formation by studying how fundamental factors influence different quantiles of the distribution of the Nord Pool system price. Using quantile regression, a model for the electricity price in the off-peak period 04 (03:00-04:00) and the peak period 11 (10:00-11:00) is proposed. Generally, results show positive impact of adaptive behavior, demand, fossil fuel prices, CO2 emissions allowance price and electricity certificate price, while water reservoir level and wind power have negative impact on the electricity price. The effect of price volatility is negative in lower quantiles and positive in upper quantiles. Furthermore, results suggest that the influence of fundamentals vary non-linearly across quantiles, as well as between trading periods.